Hi Serg,
Great quick response!
To keep my reply in context, I have used your post as a basis.
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The code is different and wasn't purposed to measure exactly the same. But I adjusted it where possible to make the same. You can download the updated jar from the same link. Here are few items to consider:
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I downloaded the new jar. Thanks.
My Question would be, If QuotesDelta indicator purpose is not be same as the column QuotesDelta ....
would it be possible to create a copy say "Quotes Delta Historical" which would be exactly the same as the QuotesDelta column, reset on price change etc, so basically it would be a line chart representation of what the quotes delta column sum of levels reports in real time. Absolutely crucial would be the sum of levels on bid - sum of levels on ask.
- Annotation 2018-11-30 095122.jpg (549.16 KiB) Viewed 22662 times
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Quotes delta column resets all ask values to zero when best ask changes, and resets all bid values to zero when best bid changes. This is the main difference from Quotes delta indicator, which keeps summing up the quotes updates regardless of price changes.
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I think this reset is valuable, when charted across time, this is in time snapshot as to the price movement, BEFORE price moved, the position of bids/asks removed/added
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Because the quotes delta column resets on price changes, it's a short-term indicator which takes into account only the visible time range on the chart. So, you need to have the last price change in the visible range if you wish to compare the two.
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Normally I would view this in a 30 mins to 1 hour window, maybe even more, its the graphical historical representation of the Quotes Delta Sum(of levels), which would indicate what happened, when x number of contracts were added or pulled on the bid/ask.
I hope I have been able to convey my thoughts. Looking forward to your response.
Regards,
SDG